A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series (Q6149574)
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scientific article; zbMATH DE number 7800182
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series |
scientific article; zbMATH DE number 7800182 |
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A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series (English)
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6 February 2024
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EVT
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generalized pareto distribution
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goal programming model
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multiple criteria decision analysis
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peaks over threshold
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